Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Jan 05 (3D) Jan 06 (4D) Jan 07 (5D) Jan 08 (6D) Jan 09 (7D) Jan 12 (10D) Jan 13 (11D) Jan 14 (12D) Jan 15 (13D) Jan 16 (14D) Jan 23 (21D) Jan 30 (28D) Feb 06 (35D) Feb 13 (42D) Feb 20 (49D) Feb 27 (56D) Mar 06 (63D) Mar 13 (70D) Mar 20 (77D) Mar 27 (84D)
lower 674.624 673.223 671.989 670.873 669.847 667.147 666.34 665.569 664.829 664.118 659.721 656.015 652.749 649.797 647.082 644.555 642.182 639.937 637.802 635.762
upper 692.736 694.137 695.371 696.487 697.513 700.213 701.02 701.791 702.531 703.242 707.639 711.345 714.611 717.563 720.278 722.805 725.178 727.423 729.558 731.598
expected move 9.056 10.457 11.691 12.807 13.833 16.533 17.34 18.111 18.851 19.562 23.959 27.665 30.931 33.883 36.598 39.125 41.498 43.743 45.878 47.918
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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